Exciton excited states of CuCl nanoparticles dispersed in NaCl matrix have been investigated by means of two-photon excitation and two-step IR transient absorption. In the two-photon excitation spectra, there appears a distinct absorption edge. As the particle radius decreases from 6.3nm to 1.6nm, the edge energy increases by about 0.15eV, more than twice as large as that of the lowest IS state. The fast decay component of the IR transient absorption under pulsed excitation of the lowest IS exciton shows a broad band which shifts from 0.2 to 0.4eV as the radius decreases from >10nm to 1.4nm. These absorption edge and band are ascribed to the nP-like Rydberg excited states of the confined excitons. The large energy shift indicates that the weak confinement which is typically valid for the lowest IS exciton state in CuCl nanoparticles is no more applicable to these excited states. Their spectra and confinement effect are discussed in comparison with theoretical prediction.